## [1] "marketcap floor - 500"
## [1] "buckets_long_buy - 5"
## [1] "buckets_short_buy - 5"
## [1] "buckets_long_hold - 3"
## [1] "buckets_short_hold - 3"
## [1] "apply_score_change_effect - FALSE"
## [1] "altered_live_signal_history - FALSE"
## [1] "is_market_regime_included - TRUE"
## [1] "rebalancing - month"
## [1] "US Only"
## [1] "1.92" "-1.2"
## [1] "rebalance method is - simple"
## # Source: spark<regime_weights> [?? x 2]
##   regime   regime_weight
##   <chr>            <dbl>
## 1 All             0.5   
## 2 Value_N         0.188 
## 3 Value_P         0.0625
## 4 Equity_N        0.0625
## 5 Equity_P        0.188

## [1] "annualized trading costs are 0.0369886665354011"
##                                 
## Annualized Return         0.2177
## Annualized Std Dev        0.1295
## Annualized Sharpe (Rf=0%) 1.6814
2018-12-01 2019-01-01 2019-02-01 2019-03-01 2019-04-01 2019-05-01 2019-06-01 2019-07-01 2019-08-01 2019-09-01 2019-10-01 2019-11-01 2019-12-01 2020-01-01 2020-02-01 2020-03-01 2020-04-01 2020-05-01 2020-06-01 2020-07-01 2020-08-01 2020-09-01 2020-10-01 2020-11-01
portfolio -2.66% 7.64% 4.69% -1.24% 8.73% -0.59% 6.46% 0.19% -0.22% 1.46% 2.17% 3.02% 1.78% -3.50% -5.14% 3.86% 0.00% 4.30% -2.15% 6.31% 1.07% 0.80% -1.15% 5.11%
spx -4.86% 8.01% 3.21% 1.94% 4.05% -6.35% 7.05% 1.44% -1.58% 1.87% 2.17% 3.63% 3.02% -0.04% -8.23% -12.35% 12.82% 4.76% 1.99% 5.64% 7.19% -3.80% -2.66% 10.50%
alpha 2.31% -0.35% 1.43% -3.12% 4.50% 6.16% -0.55% -1.23% 1.39% -0.41% 0.01% -0.59% -1.20% -3.46% 3.37% 18.50% -11.36% -0.44% -4.06% 0.64% -5.70% 4.78% 1.55% -4.88%
factor 1 month 1 quarter YTD 1 year 3 years (ann.) 5 years (ann.) 10 years (ann.) 15 years (ann.) 20 years (ann.) Since Inception (ann.)
return alpha -3.21% -2.24% -3.83% -6.26% 0.00% 0.00% 0.00% 0.00% 0.00% 2.11%
portfolio 0.42% 5.07% 9.20% 10.47% 0.00% 0.00% 0.00% 0.00% 0.00% 22.37%
spx 3.76% 7.48% 13.56% 17.85% 0.00% 0.00% 0.00% 0.00% 0.00% 19.84%
sharpe alpha -14.59% -0.14% 28.23% 25.49% 0.00% 0.00% 0.00% 0.00% 0.00% 98.90%
portfolio 2.33% 36.57% 65.51% 77.67% 0.00% 0.00% 0.00% 0.00% 0.00% 173.49%
spx 16.92% 36.71% 37.28% 52.17% 0.00% 0.00% 0.00% 0.00% 0.00% 74.59%
vol portfolio 18.07% 13.87% 14.05% 13.48% 0.00% 0.00% 0.00% 0.00% 0.00% 12.89%
spx 22.19% 20.37% 36.37% 34.22% 0.00% 0.00% 0.00% 0.00% 0.00% 26.60%